In Japanese stock markets, there are two kinds of breaks, i.e., nighttime and lunch break, where we have no trading, entailing inevitable increase of variance in estimating daily volatility via naive realized variance (RV). In order to perform a much more stabilized estimation, we are concerned...

In a class of continuous-time filtering models with Gaussian limit, we provide a practical scheme of an approximation of a conditional expectation given finite-dimensional observations, in the light of the double Edgeworth expansion. Simple and explicit expressions up to the second order are...

We discuss the local asymptotic behavior of the likelihood function associated with all the four characterizing parameters ([alpha],[beta],[delta],[mu]) of the Meixner Lévy process under high-frequency sampling scheme. We derive the optimal rate of convergence for each parameter and the Fisher...

Let X be a multidimensional diffusion with jumps. We provide sets of conditions under which: X fulfils the ergodic theorem for any initial distribution; and X is exponentially [beta]-mixing. Utilizing the Foster-Lyapunov drift criteria developed by Meyn and Tweedie, we extend several existing...

The purpose of this paper is to derive the stochastic expansion of self-normalized-residual functionals stemming from a class of diffusion type processes observed at high frequency, where total observing period may or may not tend to infinity. The result enables us to construct some explicit...